2019년 4월 비트코인 가격 예측 (블랜딩)

예측 기간 : 3월 24일 ~ 4월 23일

# options
options(scipen = 999)
"%ni%" = Negate("%in%")

# library
library(cryptor)
library(data.table)
library(plotly)
library(lubridate)
library(h2o)
h2o.no_progress()
# h2o.show_progress()

# predict_days
predict_days = 30

# get data
# tmp = get_historical_price(fsym="BTT", tsym="KRW", end_time="2019-03-23", unit='hour',limit=1000)
# data = as.data.table(tmp)
data = fread("C:/Users/user/Documents/BITCOIN/input/data.csv")
range(data$time)

## [1] "2013-08-08T06:00:00Z" "2019-03-24T08:00:00Z"

# cut range
data[,date:=as.numeric(gsub("-","",substr(time,1,10)))]
data = data[date>=20181201,]
range(data$time)

## [1] "2018-12-01T00:00:00Z" "2019-03-24T08:00:00Z"

# DM
source("C:/Users/user/Documents/BITCOIN/code/101_BTC200_DM.R")

## >> 101_BTC100_DM done!

# ML
h2o.init(max_mem_size = "12g")

##  Connection successful!
## 
## R is connected to the H2O cluster: 
##     H2O cluster uptime:         13 hours 48 minutes 
##     H2O cluster timezone:       Asia/Seoul 
##     H2O data parsing timezone:  UTC 
##     H2O cluster version:        3.22.1.1 
##     H2O cluster version age:    2 months and 25 days  
##     H2O cluster name:           H2O_started_from_R_user_jlu559 
##     H2O cluster total nodes:    1 
##     H2O cluster total memory:   10.43 GB 
##     H2O cluster total cores:    4 
##     H2O cluster allowed cores:  4 
##     H2O cluster healthy:        TRUE 
##     H2O Connection ip:          localhost 
##     H2O Connection port:        54321 
##     H2O Connection proxy:       NA 
##     H2O Internal Security:      FALSE 
##     H2O API Extensions:         Algos, AutoML, Core V3, Core V4 
##     R Version:                  R version 3.5.2 (2018-12-20)

YHAT_list = list()
max_models = 100
nfolds = 3
stopping_rounds = 10
stopping_tolerance = 0.001
source("C:/Users/user/Documents/BITCOIN/code/200_BTC200_ML.R")

## [1] 0
## >> 200_BTC200_ML done!

# 예측값 보정
source("C:/Users/user/Documents/BITCOIN/code/201_BTC200_ML.R")

## [1] 0
## >> 201_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/202_BTC200_ML.R")

## [1] 0
## >> 202_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/203_BTC200_ML.R")

## [1] 0
## >> 203_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/204_BTC200_ML.R")

## [1] 0
## >> 204_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/205_BTC200_ML.R")

## [1] 0
## >> 205_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/206_BTC200_ML.R")

## [1] 0
## >> 206_BTC200_ML done!

source("C:/Users/user/Documents/BITCOIN/code/207_BTC200_ML.R")

## [1] 0
## >> 207_BTC200_ML done!

for(i in paste0("daily_avg_After_",7:1,"day")){
  tmp = tail(YHAT_list[i][[1]],1)
  YHAT[,price:=ifelse(date == tmp$date,tmp$price,price)]
}

# plot 
plot_ly() %>%
  add_trace(data=Y, x=~date, y=~price, type = 'scatter',  mode = 'lines+markers', line = list(color = 'blue', width = 1), name="실제값") %>%
  add_trace(data=YHAT, x=~date, y=~price, type = 'scatter',  mode = 'lines+markers', line = list(color = 'red', width = 1, dash='dot'), name="예측값") %>% 
  layout(xaxis=list(fixedrange=T, title="date"),yaxis=list(fixedrange=T, title="price"),autosize = F, width = 900) %>% 
  config(displayModeBar = F)

## Warning: Specifying width/height in layout() is now deprecated.
## Please specify in ggplotly() or plot_ly()